Assessing Commonality in Liquidity: Evidence from an Emerging Market’s Index Stocks

2020 ◽  
pp. 097215092094290
Author(s):  
Gaurav Kumar ◽  
Arun Kumar Misra ◽  
Abhay Pant ◽  
Molla Ramizur Rahman
Keyword(s):  
Natural Resources ◽  
Financial Services ◽  
High Frequency ◽  
Emerging Market ◽  
Relative Strength ◽  
Stock Liquidity ◽  
Fund Managers ◽  
Liquidity Measures ◽  
Key Industries ◽  
The Impact

This study investigates the degree to which movements in stock liquidity is determined by common underlying factors in a large emerging market, India. This degree is called commonality. Commonality has been measured for NIFTY50 stocks using high frequency data across a variety of liquidity measures. This study empirically verifies the relative strength of market- and industry-wide liquidity in explaining commonality. Furthermore, the study analyses the impact of industry-wide liquidity on the liquidity of individual stocks belonging to the key industries of Indian economy, viz. consumer goods and pharma, energy, financial services, infrastructure, information technology (IT) and telecom, manufacturing and natural resources. Among all the sectors studied infrastructure, IT and telecom, manufacturing and natural resources sectors possess higher degree of Industry-wide commonality. This means fund managers find it difficult in altering a portfolio having greater exposure to these sectors. Studying the behaviour of commonality will also assist regulators in monitoring abnormal market fluctuations. The study contributes to the understanding of commonality on an emerging order driven market like India.

scholarly journals Stock Liquidity, Financial Report Quality, Wedge, and The Propensity to Pay Dividend

2019 ◽  
Vol 12 (3) ◽  
pp. 239
Author(s):  
Rahmat Setiawan ◽  
Nova Christiana ◽  
Sanju Kumar Singh
Keyword(s):  
Agency Conflicts ◽  
Probit Regression ◽  
Government Ownership ◽  
Stock Liquidity ◽  
Financial Report ◽  
Listed Firms ◽  
Report Quality ◽  
Liquidity Measures ◽  
Propensity To Pay ◽  
The Impact

This research examined the effect of stock liquidity on the propensity to pay dividend for 254 Indonesian public listed firms during the period of l 2011 and 2015. Stock liquidity implies transparency level and serves as market monitor for management performance in using the cash flow. Furthermore, this research examines the impact of stock liquidity on dividend payment in the presence of agency conflicts using agency proxies, wedge and government ownership. This paper employed multivariate probit regression. The baseline model has controlled for time in-variant and industry sectors. Robustness checks are employed to present consistent result for other stock liquidity measures. The results confirm the predicted dividend model outcome and prove the contradiction in dividend signaling theory.

US SEC approves sweeping amendments to rules governing money market funds

2015 ◽  
Vol 16 (1) ◽  
pp. 25-39
Author(s):  
Jack Murphy ◽  
Stephen Cohen ◽  
Brenden Carroll ◽  
Aline A. Smith ◽  
Matthew Virag ◽  
...  
Keyword(s):  
Financial Services ◽  
Boards Of Directors ◽  
Financial Stability ◽  
Money Market ◽  
Content Type ◽  
Fund Managers ◽  
Money Market Funds ◽  
The Usa ◽  
To Come ◽  
The Impact

Purpose – To explain the background and details and to discuss the implications of the USA Securities and Exchange Commission’s (SEC’s) July 23, 2014 amendments to Rule 2a-7 and other rules that govern money market funds under the Investment Company Act of 1940. Design/methodology/approach – Explains the background, including problems during the financial crisis, the USA Treasury’s temporary guarantee program in 2008, earlier SEC proposals, and the USA Financial Stability Oversight Council’s recommendations. Details the amendments to Rule 2a-7, including the authorization to impose liquidity fees and redemption gates, the floating net asset value (NAV) requirement, the impact of the amendments on unregistered money funds operating under Rule 12d1-1, guidance on fund valuation methods, disclosure requirements, requirements for money fund portfolios to be diversified as to issuers of securities and guarantors, stress testing requirements, and compliance dates. Findings – The Amendments set forth sweeping changes to money fund regulation and will have a profound effect on the money fund industry. Although the most significant provisions of the Amendments – the floating NAV requirement and the imposition of liquidity fees and redemption gates – will not go into effect for two years, the changes to the industry will be apparent almost immediately. Practical implications – Money fund managers and boards of directors should begin assessing the potential impact of the Amendments and develop a schedule to come into compliance. Originality/value – Practical guidance from experienced financial services lawyers.

scholarly journals Continuous improvement and business sustainability in companies of an emerging market: Empirical analysis

2021 ◽  
Vol 14 (4) ◽  
pp. 771
Author(s):  
Cesar Bernal ◽  
Luis Paipa ◽  
Yavar Jarrah Nezhad ◽  
Luis Agudelo ◽  
Javier Millán
Keyword(s):  
Continuous Improvement ◽  
Emerging Economies ◽  
Financial Services ◽  
Emerging Market ◽  
Business Sustainability ◽  
Industrial Sectors ◽  
Social Environmental ◽  
The Impact ◽  
Practical Implications ◽  
Critical Aspects

Purpose: The article analyses the impact of continuous improvement (system and teams) on business sustainability dimensions (social, environmental, operational and financial) as a competitive strategy to create value for all stakeholders in emerging economy context.Design/methodology/approach: The data collected is from 120 companies of different sizes and 13 different industrial sectors such as food, energy, health, financial services, and logistics in Colombia. The design of multivariate logistic regression is to identify the critical aspects of the continuous improvement practices that significantly affect the dimensions of business sustainability.Findings: The analysis shows that from continuous improvement aspects (system and teams), employee involvement, human talent maintenance, training, and evaluation accompanied by feedback impact business sustainability. These elements impact financial and operational dimensions significantly but in the environmental and social aspects with less intensity.Research limitations/implications: Research is limited to the general sustainability analysis applying resource-based strategy in Colombia.  Practical implications: Generate overall awareness of the importance of the equilibrium of sustainability dimensions in strategic planning and implementation in emerging economies.Originality/value: This work applies an empirical study to establish the impact of continuous improvement (system and teams) on each of the business sustainability dimensions (social, environmental, operational and financial) in companies of emerging economies.  

The Law of Private Investment Funds

2018 ◽  
Author(s):  
Spangler Timothy
Keyword(s):  
Hedge Funds ◽  
Financial Services ◽  
Private Equity ◽  
Global Financial Crisis ◽  
Private Investment ◽  
Investment Fund ◽  
Investment Funds ◽  
Fund Managers ◽  
The Global Financial Crisis ◽  
The Impact

This book provides a clear and concise dual US/UK and pan-asset analysis on the legal and regulatory issues that arise in connection with private investment funds. The book advises on the structuring, formation, and operation of a range of asset classes, including hedge funds, private equity funds, real estate funds, and other non-retail collective investment vehicles. This edition has been revised to reflect the numerous and significant developments in financial services regulation on both sides of the Atlantic since the publication of the second edition. More elements of the Dodd Frank financial regulatory reforms, which increased the scope and reach of regulation applicable to private funds, have been implemented and commented on in this edition. In relation to European regulation, the impact of the commencement of the Alternative Investment Fund Managers Directive (AIFMD) has also now been analysed. The US/UK approach is maintained, but this edition now also includes consideration of third countries, particularly the Middle East and Asia. An entirely new chapter is dedicated to litigation and regulatory enforcement, and some treatment is given to the effects of the global financial crisis, in particular the regulatory response and the changes to negotiating leverage of fund managers and fund investors. The potential impact of ‘Brexit’ on the United Kingdom private funds industry and the future of the AIMFD and European private funds is also examined.

SEC adopts rules and forms to modernize reporting requirements for registered investment companies

2017 ◽  
Vol 18 (1) ◽  
pp. 25-42
Author(s):  
Stephen Cohen ◽  
Megan Johnson ◽  
Gary Brooks ◽  
Brooke Higgs
Keyword(s):  
Financial Services ◽  
Service Providers ◽  
Securities And Exchange Commission ◽  
Content Type ◽  
Fund Managers ◽  
Investment Companies ◽  
Reporting Requirements ◽  
Final Rule ◽  
The Impact ◽  
Practical Implications

Purpose To explain the new rules, forms, and amendments to current rules and forms (Final Rule) that the Securities and Exchange Commission (SEC) has adopted to modernize the reporting of information provided by registered investment companies (funds) and to improve the quality and type of information that funds provide to the SEC and investors. Design/methodology/approach Discusses the background leading up to the Final Rule, provides an overview and summary of the Final Rule’s key components, and highlights issues that may be raised by the new reporting regime. Findings The Final Rule will have a significant effect on many funds. Funds will experience a substantially increased reporting burden with respect to both the frequency of reporting and the granularity of information required. Practical implications Fund managers and fund service providers should begin to evaluate the impact of the Final Rule, the processes that will need to be implemented to prepare filings on new forms, and the changes in fund disclosure practices that will be required in response to the amendments to certain forms. Originality/value Practical guidance from financial services lawyers specializing in the investment management industry.

scholarly journals Finance For Growth and Policy Options for Emerging and Developing Economies: The Case of Nigeria

2015 ◽  
Vol 2 (2) ◽  
pp. 20-38
Author(s):  
Wumi Olayiwola ◽  
Henry Okodua ◽  
Evans S Osabuohien
Keyword(s):  
Economic Growth ◽  
Financial Services ◽  
Developing Economies ◽  
Emerging Market ◽  
Financial System ◽  
Government Policies ◽  
Policy Options ◽  
Financial Policies ◽  
The Impact

Finance is generally regarded as important for economic growth, but the role of finance in economic growth is a controversial issue in the economic literature. The concept of “finance for growth” refocuses the relationship between finance and economic growth by redirecting the role of government policies in finance, and recognizes how finance without frontiers is changing what government policies can do and achieve. The focus of this paper is not to join the debate, nor to analyse the impact of financial development on economic growth, but to discuss the concept of “finance for growth” within the context of emerging and developing economies. The increasing development needs of Emerging Market Economies (EMEs) to raise per capita income, reduce unemployment rate, construct and maintain basic infrastructure, and invest more in human capital, make the role of finance for growth in these economies indispensable. The paper reviews the financial policies in selected EMEs including: China, South Africa and Nigeria and attempts to situate the Nigerian economy among the EMEs within the context of Finance for Growth. The paper notes that financial policies designed in various EMEs had the similar goal of making the financial system to provide key financial functions. However, large differences exist in the efficiency of the financial system in each country. The paper found that what matters to economic growth is access to financial services or financial inclusion and not which sector supplies the funds. The paper suggests appropriate policy options to build confidence in the Nigerian financial system.

From cents to half-cents and its liquidity impact

2014 ◽  
Vol 26 (3) ◽  
pp. 160-176 ◽  
Author(s):  
Hamish D. Anderson ◽  
Yuan Peng
Keyword(s):  
New Zealand ◽  
Small Firms ◽  
Small Sample ◽  
Tick Size ◽  
Stock Liquidity ◽  
Content Type ◽  
Liquidity Measures ◽  
The Impact ◽  
Effective Spread ◽  
Selection Of

Purpose – The purpose of this paper is to examine the impact on stock liquidity following the reduction of minimum tick size from $0.01 to $0.005 for a selection of dual-listed and property stocks on the New Zealand Exchange (NZX) during 2011. Design/methodology/approach – Various liquidity measures were examined six months either side of the change in minimum tick size for the eligible stocks and these were compared to a sample of stocks matched on similar liquidity characteristics. Liquidity measures examined in the paper include quoted and effective spread, volume, depth and binding-constraint probability. Findings – After controlling for firms matched on similar pre-period liquidity characteristics both spread and depth decline significantly. Evidence that small firms experience significant declines in trading activity was also found, and while firms with higher binding-constraints probability have greater declines in spread, their decline in depth is greater still. Research limitations/implications – The small sample of 17 stocks eligible for the $0.005 minimum tick size potentially impacts on the strength of the statistical analysis. As such, it is harder to detect statistically significant changes in liquidity. Practical implications – These findings have important implications for policymakers as the hoped for benefits of smaller tick increments may only be fully realized by larger more active stocks. Originality/value – The paper examines the impact of a change in minimum tick size on eligible New Zealand Exchange (NZX) stocks to determine whether it meet the stated NZX goal of boosting liquidity.

scholarly journals The Impact of Trade Liquidity on the Rates of Return from Emerging Market Shares Based on the Example of Poland, Austria and Hungary

2019 ◽  
Vol 4 (343) ◽  
pp. 137-157
Author(s):  
Agata Gniadkowska - Szymańska
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Futures Contracts ◽  
Stock Liquidity ◽  
Market Shares ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
Alternative Test ◽  
The Impact

In relation to assets, liquidity generally relates to the ease by which an asset can be sold immediately after purchase without incurring losses of any kind. These losses could be due to price changes or various transaction costs. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged a long time ago. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an “illiquidity premium”. This paper examines various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock returns on the Warsaw Stock Exchange (WSE), the Budapest Stock Exchange (BSE) and the Vienna Stock Exchange (VSE). The main objective of the study is to determine whether there is a statistically significant relationship between the trading liquidity of the shares and the evolution of the rate of return on these shares. The applied research methodology is similar to that described by Datar, Naik and Radcliffe in their work “Liquidity and Stock Returns: An Alternative Test”.

scholarly journals The Impact of Emerging Market Trends on the Development and Marketing of Financial Service Products in Zimbabwe Post Dollarization

2017 ◽  
Vol 8 (6(J)) ◽  
pp. 216-226
Author(s):  
Tinevimbo Chokuda ◽  
Wilford Mawanza ◽  
Farai Chimboza
Keyword(s):  
Research Design ◽  
Financial Institutions ◽  
Financial Services ◽  
Business Models ◽  
Service Providers ◽  
Emerging Market ◽  
Financial Service ◽  
Consumer Demographics ◽  
Market Trends ◽  
The Impact

Abstract: The research sought to analyse the impact of emerging market trends as measured by competition, technology and consumer demographics on the development and marketing of financial service products in Zimbabwe post dollarization. The Zimbabwean financial service sector has been largely characterised by new and changing market trends since dollarization. These trends have largely manifested in the form of entrance of new players in the market, a growing informal sector at the expense of the formal financial sector and the emergence of new technology paving way for the need to develop and market new financial service products. There is therefore need for financial service providers in Zimbabwe to continually embrace innovative product development and marketing strategies so as to shape banking products to fit consumers’ evolving financial needs much of which are well beyond the realm of traditional banking products. An explanatory research design was adopted in conjunction with a descriptive research design. Results from the study indicate that the entry of new financial institutions, removal of barriers between institutions, emergence of non-regulated financial institutions, increased consumer access to financial information owing to increased adoption of technology, market fragmentation and increased formal unemployment have a significant impact on the way financial service products are structured, provisioned. In light of that, it is recommended that financial service providers should design and tailor new business models to suit the emerging market environment.Keywords: Emerging market trends, development, financial services, Zimbabwe, post-dollarization

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